How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	31
α ARCH Response to squared shocks	0.1237	0.31
β GARCH Volatility persistence	0.7552	13.89***
γ leverage Additional response to negative shocks	0.1123	0.15
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.43
λ₂ forecast adj. Forecast performance sensitivity	0.0858	0.45
λ₃ tau persistence Long-term factor persistence	0.9142	10.67***

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Wereldhave NV ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Wereldhave NV Analyses